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Details about Stanislav Anatolyev

E-mail:
Homepage:http://www.nes.ru/~sanatoly/
Phone:+7 (495) 956-9508
Postal address:New Economic School, room 1721(3), Nakhimovsky pr., 47, Moscow, 117418, Russian Federation
Workplace:Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI), (more information at EDIRC)
New Economic School (NES), (more information at EDIRC)
Center for Economic and Financial Research (CEFIR), New Economic School (NES), (more information at EDIRC)

Access statistics for papers by Stanislav Anatolyev.

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Short-id: pan48


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Working Papers

2015

  1. Foreign exchange predictability during the financial crisis: implications for carry trade profitability
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
  2. Modeling and Forecasting Realized Covariance Matrices with Accounting for Leverage
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
  3. Multivariate return decomposition: theory and implications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

2013

  1. Reconstructing high dimensional dynamic distributions from distributions of lower dimension
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    Also in Working Papers, Concordia University, Department of Economics (2012) Downloads

2012

  1. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2013)

2011

  1. Sequential Testing with Uniformly Distributed Size
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads

2009

  1. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (1)
  2. Inference in Regression Models with Many Regressors
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2012)

2008

  1. Specification Testing in Models with Many Instruments
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (5)
    See also Journal Article in Econometric Theory (2011)

2007

  1. Inference about predictive ability when there are many predictors
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (7)
  2. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (6)
    Working papers, Wisconsin Madison - Social Systems (2001) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2009)
  3. Modeling Financial Return Dynamics by Decomposition
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (2)

2006

  1. Dynamic modeling under linear-exponential loss
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    See also Journal Article in Economic Modelling (2009)
  2. Nonparametric retrospection and monitoring of predictability of financial returns
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
  3. Tests in contingency tables as regression tests
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    See also Journal Article in Economics Letters (2009)
  4. Trade intensity in the Russian stock market:dynamics, distribution and determinants
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    See also Journal Article in Applied Financial Economics (2007)

2005

  1. A Ten-year retrospection of the behavior of Russian stock returns
    BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition Downloads View citations (8)
  2. Optimal Instruments in Time Series: A Survey
    Working Papers, Center for Economic and Financial Research (CEFIR) Downloads
    See also Journal Article in Journal of Economic Surveys (2007)

1999

  1. Feasible Optimal Instrumental Variables Estimation of Linear Models with Moving Average Disturbances
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
    Also in Working papers, Wisconsin Madison - Social Systems (1999) Downloads View citations (1)

Journal Articles

2017

  1. ASYMPTOTICS OF DIAGONAL ELEMENTS OF PROJECTION MATRICES UNDER MANY INSTRUMENTS/REGRESSORS
    Econometric Theory, 2017, 33, (03), 717-738 Downloads
  2. Foreign exchange predictability and the carry trade: A decomposition approach
    Journal of Empirical Finance, 2017, 42, (C), 199-211 Downloads

2016

  1. Uncovering the Skewness News Impact Curve
    Journal of Financial Econometrics, 2016, 14, (4), 746-771 Downloads

2015

  1. Missing mean does no harm to volatility!
    Economics Letters, 2015, 134, (C), 62-64 Downloads
  2. Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting
    Econometrics, 2015, 3, (3), 1-23 Downloads

2014

  1. An algorithm for constructing high dimensional distributions from distributions of lower dimension
    Economics Letters, 2014, 123, (3), 257-261 Downloads View citations (1)

2013

  1. Asymptotic variance under many instruments: Numerical computations
    Economics Letters, 2013, 118, (2), 272-274 Downloads
  2. Instrumental variables estimation and inference in the presence of many exogenous regressors
    Econometrics Journal, 2013, 16, (1), 27-72 View citations (4)
    See also Working Paper (2012)
  3. Objects of nonstructural time series modeling (in Russian)
    Quantile, 2013, (11), 1-12 Downloads

2012

  1. ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST
    Econometric Theory, 2012, 28, (01), 239-246 Downloads View citations (2)
  2. Asymptotics of near unit roots (in Russian)
    Quantile, 2012, (10), 57-71 Downloads
  3. Inference in regression models with many regressors
    Journal of Econometrics, 2012, 170, (2), 368-382 Downloads View citations (7)
    See also Working Paper (2009)

2011

  1. SPECIFICATION TESTING IN MODELS WITH MANY INSTRUMENTS
    Econometric Theory, 2011, 27, (02), 427-441 Downloads View citations (8)
    See also Working Paper (2008)

2010

  1. Modeling Financial Return Dynamics via Decomposition
    Journal of Business & Economic Statistics, 2010, 28, (2), 232-245 Downloads View citations (22)

2009

  1. Dynamic modeling under linear-exponential loss
    Economic Modelling, 2009, 26, (1), 82-89 Downloads View citations (3)
    See also Working Paper (2006)
  2. Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
    Econometric Reviews, 2009, 28, (5), 441-467 Downloads View citations (8)
    See also Working Paper (2007)
  3. Multi-Market Direction-of-Change Modeling Using Dependence Ratios
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (1), 1-24 Downloads View citations (6)
  4. Nonparametric Retrospection and Monitoring of Predictability of Financial Returns
    Journal of Business & Economic Statistics, 2009, 27, (2), 149-160 Downloads View citations (1)
    See also Working Paper (2006)
  5. Nonparametric regression (in Russian)
    Quantile, 2009, (7), 37-52 Downloads
  6. Tests in contingency tables as regression tests
    Economics Letters, 2009, 105, (2), 189-192 Downloads
    See also Working Paper (2006)
  7. Where to find data on the Web? (in Russian)
    Quantile, 2009, (6), 59-71 Downloads

2008

  1. A 10-year retrospective on the determinants of Russian stock returns
    Research in International Business and Finance, 2008, 22, (1), 56-67 Downloads View citations (8)
  2. Making econometric reports (in Russian)
    Quantile, 2008, (4), 71-78 Downloads
  3. Method-of-moments estimation and choice of instruments: Numerical computations
    Economics Letters, 2008, 100, (2), 217-220 Downloads
  4. Review of English textbooks in time series analysis (in Russian)
    Quantile, 2008, (5), 49-55 Downloads

2007

  1. OPTIMAL INSTRUMENTS IN TIME SERIES: A SURVEY
    Journal of Economic Surveys, 2007, 21, (1), 143-173 Downloads
    See also Working Paper (2005)
  2. Optimal instruments (in Russian)
    Quantile, 2007, (2), 61-69 Downloads
  3. REDUNDANCY OF LAGGED REGRESSORS REVISITED
    Econometric Theory, 2007, 23, (02), 364-368 Downloads View citations (3)
  4. Review of English textbooks in econometrics (in Russian)
    Quantile, 2007, (3), 73-82 Downloads
  5. The basics of bootstrapping (in Russian)
    Quantile, 2007, (3), 1-12 Downloads View citations (2)
  6. Trade intensity in the Russian stock market: dynamics, distribution and determinants
    Applied Financial Economics, 2007, 17, (2), 87-104 Downloads View citations (10)
    See also Working Paper (2006)
  7. Using All Observations when Forecasting under Structural Breaks
    Finnish Economic Papers, 2007, 20, (2), 166-176 Downloads View citations (1)

2006

  1. Kernel estimation under linear-exponential loss
    Economics Letters, 2006, 91, (1), 39-43 Downloads View citations (2)
  2. Testing for predictability (in Russian)
    Quantile, 2006, (1), 39-42 Downloads

2005

  1. A Trading Approach to Testing for Predictability
    Journal of Business & Economic Statistics, 2005, 23, 455-461 Downloads View citations (24)
  2. AN ALTERNATIVE TO MAXIMUM LIKELIHOOD BASED ON SPACINGS
    Econometric Theory, 2005, 21, (02), 472-476 Downloads View citations (1)
  3. GMM, GEL, Serial Correlation, and Asymptotic Bias
    Econometrica, 2005, 73, (3), 983-1002 Downloads View citations (28)

2004

  1. Inference when a nuisance parameter is weakly identified under the null hypothesis
    Economics Letters, 2004, 84, (2), 245-254 Downloads

2003

  1. 02.5.2. Durbin Watson Statistic and Random Individual Effects
    Econometric Theory, 2003, 19, (05), 882-883 Downloads View citations (1)
  2. 02.6.2. Autoregression and Redundant InstrumentsSolution
    Econometric Theory, 2003, 19, (06), 1197-1198 Downloads
  3. 03.1.2. Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression
    Econometric Theory, 2003, 19, (01), 225-226 Downloads
  4. THE FORM OF THE OPTIMAL NONLINEAR INSTRUMENT FOR MULTIPERIOD CONDITIONAL MOMENT RESTRICTIONS
    Econometric Theory, 2003, 19, (04), 602-609 Downloads View citations (5)
  5. The term structure of Russian interest rates
    Applied Economics Letters, 2003, 10, (13), 867-870 Downloads View citations (4)

2002

  1. Electoral behavior of US counties: a panel data approach
    Economics Bulletin, 2002, 3, (9), 1-10 Downloads
  2. Markov chain approximation in bootstrapping autoregressions
    Economics Bulletin, 2002, 3, (19), 1-8 Downloads View citations (4)

1999

  1. Nonparametric estimation of nonlinear rational expectation models
    Economics Letters, 1999, 62, (1), 1-6 Downloads View citations (1)

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